CFA Practice Question

CFA Practice Question

An analyst determines the following information about a semiannual coupon bond (par = $1,000):

Par value $1,000
Modified duration 10
Current price $800
Yield to maturity (YTM) 8%

If the YTM increases to 9 percent, the predicted decrease in price, using the duration concept, is closest to:
A. 80.00
B. 77.67
C. 76.92
Explanation: -10 x 0.01 x 800 = -80.

User Contributed Comments 2

User Comment
smettias 0.01?fucking great explanation bud..
mfhl2021 0.01 = change in YTM (8% to 9%) = 1% = 100 bps , where 1 bp = 0.0001
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